Study on Gold as a Hedge or Safe Haven for the Stock Market by a Markov Switching Approach

Aghil Ariannejad and Reza Tehrani
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Aghil Ariannejad: Department of Financial Management, Kish International Campus, University of Tehran
Reza Tehrani: Department of Finance and Insurance, Faculty of Management, University of Tehran

Journal of Money and Economy, 2021, vol. 16, issue 3, 377-398

Abstract: Although gold is no longer a central cornerstone of the international monetary and financial system, it still attracts considerable attention from researchers and investors. Nowadays, many investors manage their risk with valuable assets such as gold. This paper examines the dynamic relationships between gold and stock markets in the Tehran Stock

Keywords: Tehran Stock Exchange; Gold; Markov switching; Hedge; Safe haven (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:mbr:jmonec:v:16:y:2021:i:3:p:377-398

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